That hole is for the city light. I think it's a small 5 Watt bulb but I'm not sure which bulb type it is. Anyways, it's up to you if you want to connect it or not. I connected mine. It has a nice effect. It gives a slight glow in the high beam lense.
<img src='http://www.geocities.com/royb9t8/MY_BMW_2.jpg' border='0' alt='user posted image' />
<span style='color:blue'>My ass may be dumb, but I ain't no dumb ass!</span>